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weinert howard l. - fixed interval smoothing for state space models

Fixed Interval Smoothing for State Space Models




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Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Springer

Pubblicazione: 10/2012
Edizione: Softcover reprint of the original 1st ed. 2001





Trama

Fixed-interval smoothing is a method of extracting useful information from inaccurate data. It has been applied to problems in engineering, the physical sciences, and the social sciences, in areas such as control, communications, signal processing, acoustics, geophysics, oceanography, statistics, econometrics, and structural analysis.
This monograph addresses problems for which a linear stochastic state space model is available, in which case the objective is to compute the linear least-squares estimate of the state vector in a fixed interval, using observations previously collected in that interval. The author uses a geometric approach based on the method of complementary models. Using the simplest possible notation, he presents straightforward derivations of the four types of fixed-interval smoothing algorithms, and compares the algorithms in terms of efficiency and applicability. Results show that the best algorithm has received the least attention in the literature.
Fixed Interval Smoothing for State Space Models:
  • includes new material on interpolation, fast square root implementations, and boundary value models;
  • is the first book devoted to smoothing;
  • contains an annotated bibliography of smoothing literature;
  • uses simple notation and clear derivations;
  • compares algorithms from a computational perspective;
  • identifies a best algorithm.
Fixed Interval Smoothing for State Space Models will be the primary source for those wanting to understand and apply fixed-interval smoothing: academics, researchers, and graduate students in control, communications, signal processing, statistics and econometrics.




Sommario

Ch. 1 Introduction.- 1.1 State Space Models.- 1.2 Fixed Interval Smoothing.- 1.3 Notes and References.- Ch. 2 Complementary Models.- 2.1 Discrete Case.- 2.2 Continuous Case.- 2.3 Notes and References.- Ch. 3 Discrete Smoothers.- 3.1 Backward-Forward Smoother.- 3.2 Forward-Backward Smoothers.- 3.3 Two-Filter Smoother.- 3.4 Square Root Implementations.- 3.5 Interpolated Case.- 3.6 Notes and References.- Ch. 4 Continuous Smoothers.- 4.1 Backward-Forward Smoother.- 4.2 Forward-Backward Smoothers.- 4.3 Two-Filter Smoother.- 4.4 Notes and References.- Ch. 5 Boundary Value Models.- 5.1 Complementary Model.- 5.2 Backward-Forward Smoother.- 5.3 Notes and References.- Annotated Bibliography.- Author Index.










Altre Informazioni

ISBN:

9781461356806

Condizione: Nuovo
Collana: The Springer International Series in Engineering and Computer Science
Dimensioni: 235 x 155 mm Ø 215 gr
Formato: Brossura
Illustration Notes:X, 119 p.
Pagine Arabe: 119
Pagine Romane: x


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